Neural ODEs for Informative Missingness in Multivariate Time Series

Abstract: Informative missingness is unavoidable in the digital processing of continuous time series, where the value for one or more observations at different time points are missing. Such missing observations are one of the major limitations of time series processing using deep learning. Practical applications, e.g., sensor data, healthcare, weather, generates data that is in truth continuous in time, and informative missingness is a common phenomenon in these datasets. These datasets often consist of multiple variables, and often there are missing values for one or many of these variables. This characteristic makes time series prediction more challenging, and the impact of missing input observations on the accuracy of the final output can be significant. A recent novel deep learning model called GRU-D is one early attempt to address informative missingness in time series data. On the other hand, a new family of neural networks called Neural ODEs (Ordinary Differential Equations) are natural and efficient for processing time series data which is continuous in time. In this paper, a deep learning model is proposed that leverages the effective imputation of GRU-D, and the temporal continuity of Neural ODEs. A time series classification task performed on the PhysioNet dataset demonstrates the performance of this architecture.